ECON0001: ECONOMICS OF FINANCIAL MARKETS Assignment 5
Hello, dear friend, you can consult us at any time if you have any questions, add WeChat: daixieit
ECON0001: ECONOMICS OF FINANCIAL MARKETS
Assignment 5
Uncorrelated noise traders orders. Modify the market transparency setup, assuming that if noise traders are present, each independently chooses to place either a buy or a sell order. In other words, we can have the following orders by noise traders: (buy, buy), (buy, sell), (sell, buy), (sell, sell), each occurring with probability (1 − π)/4.
a) Compute the bid and ask prices under pre-trade transparency and opaqueness.
b) How do the predictions of the model change?
2023-05-07